Enter the stage select screen and highlight the "X" logo. Then, quickly press Down + Square + X. If you entered the code correctly, the cursor will move to the bottom of the screen.

Zero's Light Sabre

Enter 7357, 7533, 6462, 7835 as a password to start a game with that weapon.

All enhancements

Enter 6414, 4155, 6872, 3356 as a password to start a game with the special capsules (Double Air-Dash, Hyper Charger, Super Armor, I. Tracer) already obtained.

Defeating Byte

Another way to defeat Byte is to intentionally run into him when he shoots his pod across the screen, right before he dashes. Then he will dash across the screen and leave Megaman with just a small amount of damage.